Background: For some adolescents feeling lonely can be a protracted and painful experience. It has been suggested that engaging in health risk behaviours such as substance use and sexual behaviour may be a way of coping with the distress arising from loneliness during adolescence. However, the association between loneliness and health risk behaviour has been little studied to date. To address this research gap, the current study examined this relation among Russian and U.S. adolescents. Methods: Data were used from the Social and Health Assessment (SAHA), a school-based survey conducted in 2003. A total of 1995 Russian and 2050 U.S. students aged 13–15 years old were included in the analysis. Logistic regression was used to examine the association between loneliness and substance use, sexual risk behaviour, and violence. Results: After adjusting for demographic characteristics and depressive symptoms, loneliness was associated with a significantly increased risk of adolescent substance use in both Russia and the United States. Lonely Russian girls were significantly more likely to have used marijuana (odds ratio [OR]: 2.28; confidence interval [CI]: 1.17–4.45), while lonely Russian boys had higher odds for past 30-day smoking (OR, 1.87; CI, 1.08–3.24). In the U.S. loneliness was associated with the lifetime use of illicit drugs (excepting marijuana) among boys (OR, 3.09; CI, 1.41–6.77) and with lifetime marijuana use (OR, 1.79; CI, 1.26–2.55), past 30-day alcohol consumption (OR, 1.80; CI, 1.18–2.75) and past 30-day binge drinking (OR, 2.40; CI, 1.56–3.70) among girls. The only relation between loneliness and sexual risk behaviour was among Russian girls, where loneliness was associated with significantly higher odds for ever having been pregnant (OR, 1.69; CI: 1.12–2.54). Loneliness was not associated with violent behaviour among boys or girls in either country. Conclusion: Loneliness is associated with adolescent health risk behaviour among boys and girls in both Russia and the United States. Further research is now needed in both settings using quantitative and qualitative methods to better understand the association between loneliness and health risk behaviours so that effective interventions can be designed and implemented to mitigate loneliness and its effects on adolescent well-being.